Rhino1616... refer to the image below.
pdog182 is correct... the "rounded rectangular" tool can be found as he/she described on your tools palette.

You mention that you don't have it and this comment in itself puzzles me. Do not confuse it with your "selection" (marquee) tools. Refer to my image below.
You may use it in any manner you desire (i.e. as a path, shape or fill pixel). Again, refer to the image to see where you would set the radius of your rounded corners.
Quote:
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pdog182: I'd show you a screen shot, but I don't know how to do that yet.
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If you're using Windows, you should have a "print screen" option on your keyboard. Pressing this will take a 'snapshot' of your screen image and automatically paste it to your system's clipboard. In any program, such as Photoshop, Word, etc. when you open a new document and press the combination of
Ctrl+V or use the Edit/Paste command, it will copy the clipboard contents. In Photoshop, your new canvas size will default to the "image" that you have pasted to the clipboard.